Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0004
Annualized Std Dev 0.0186
Annualized Sharpe (Rf=0%) -0.0235

Row

Daily Return Statistics

Close
Observations 3348.0000
NAs 1.0000
Minimum -0.0365
Quartile 1 -0.0002
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0002
Maximum 0.0383
SE Mean 0.0000
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0000
Variance 0.0000
Stdev 0.0012
Skewness 1.4032
Kurtosis 623.5170

Downside Risk

Close
Semi Deviation 0.0008
Gain Deviation 0.0014
Loss Deviation 0.0013
Downside Deviation (MAR=210%) 0.0084
Downside Deviation (Rf=0%) 0.0008
Downside Deviation (0%) 0.0008
Maximum Drawdown 0.0485
Historical VaR (95%) -0.0010
Historical ES (95%) -0.0020
Modified VaR (95%) NA
Modified ES (95%) 0.0000
From Trough To Depth Length To Trough Recovery
2008-01-28 2010-11-03 NA -0.0485 3302 700 NA
2007-12-14 2008-01-18 2008-01-25 -0.0048 28 24 4
2007-11-16 2007-11-16 2007-11-19 -0.0006 2 1 1

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA NA NA NA NA NA NA NA NA NA 0 0 0
2008 0 -0.5 0 0 0 0 0 0 0.2 0 -0.2 0 -0.4
2009 0 0 0 0 0 0 0 0 0 0 0 0 0
2010 0 0 0 0 0 0 0 0 0 0 0 0 -0.1
2011 0 0 0 0 0 0 0 0 0 0 0 0.1 0
2012 0 0 0 0 0 0.1 0 0 0 0 0 0 0
2013 0 0 0 0 0.3 0 0 0 0.1 0 0 0 0.3
2014 0 0 -0.1 0 0 0 0 0 0 0 0 0 0
2015 0 0 0 0 0 0 0 0.1 0 0 0 0 0
2016 -0.1 -0.1 0 0 0 0 0 0 -0.1 0 0 0 -0.2
2017 0 0 0 0 -0.1 0 0 -0.1 -0.1 -0.1 0.1 0 -0.3
2018 0 0.4 -0.3 -0.2 0.1 0 0 -0.1 0.1 0.1 0.1 0 0.3
2019 0 0 0 0.1 0 0 0.1 -0.1 0 -0.1 0 0.1 0.1
2020 -0.1 -0.2 0.2 0 0 0 0.1 0 -0.1 0.4 0 0 0.3
2021 0 0 0 NA NA NA NA NA NA NA NA NA 0

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2007-11-15  25.0 SPY    146. -0.0144  -0.011   -0.0565   0.0057   0.0424    0.226    0.634 GLD    78.0 -0.029   -0.052 
2 2007-11-16  25.0 SPY    146.  0.0017   0.0045  -0.0514   0.008    0.0412    0.237    0.607 GLD    77.8 -0.0026  -0.0539
3 2007-11-19  25.0 SPY    144. -0.0139   0.0004  -0.0395  -0.0081   0.0241    0.212    0.573 GLD    77.2 -0.0066  -0.0135
4 2007-11-20  25.1 SPY    145.  0.0061  -0.0232  -0.0392  -0.0137   0.0301    0.218    0.599 GLD    79.5  0.0289   0.0044
5 2007-11-21  25.1 SPY    142. -0.0205  -0.0406  -0.0664  -0.033    0.0084    0.207    0.568 GLD    79.4 -0.0014  -0.0115
6 2007-11-23  25.1 SPY    144.  0.0173  -0.0097  -0.0485  -0.0283   0.0248    0.222    0.560 GLD    81.2  0.0238   0.0423
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart